Inside of mesh is see through when trying to make a hole?
After finishing your model do the following:


press A to select the entire mesh
press W, select remove doubles
press CTRL + N to correctly orient the normal ones
press A to deselect everything
exit to object mode and export following the instructions


NOTE:

your blender is probably damaged, or some addon is causing you conflicts

I made the following example I exported it to unity, roblox and U4, and it worked well, it is possible to say that the risk of having a bad problem or having problems is greater because I use my own compilation and fork of blender to work, which I have modified in many parts, if you use a release version of blender.org you shouldn't have any major problems than the ones I could have